Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.4528 |
| Annualized Std Dev | 0.5153 |
| Annualized Sharpe (Rf=0%) | -0.8789 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2953.0000 |
| NAs | 1.0000 |
| Minimum | -0.2779 |
| Quartile 1 | -0.0168 |
| Median | -0.0024 |
| Arithmetic Mean | -0.0019 |
| Geometric Mean | -0.0024 |
| Quartile 3 | 0.0102 |
| Maximum | 0.3266 |
| SE Mean | 0.0006 |
| LCL Mean (0.95) | -0.0030 |
| UCL Mean (0.95) | -0.0007 |
| Variance | 0.0011 |
| Stdev | 0.0325 |
| Skewness | 0.5426 |
| Kurtosis | 13.3205 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0219 |
| Gain Deviation | 0.0273 |
| Loss Deviation | 0.0225 |
| Downside Deviation (MAR=210%) | 0.0275 |
| Downside Deviation (Rf=0%) | 0.0228 |
| Downside Deviation (0%) | 0.0228 |
| Maximum Drawdown | 0.9993 |
| Historical VaR (95%) | -0.0454 |
| Historical ES (95%) | -0.0719 |
| Modified VaR (95%) | -0.0413 |
| Modified ES (95%) | -0.0413 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2009-07-13 | 2021-03-17 | NA | -0.9993 | 2944 | 2941 | NA |
| 2009-06-29 | 2009-06-29 | 2009-07-02 | -0.0298 | 4 | 1 | 3 |
| 2009-07-06 | 2009-07-06 | 2009-07-07 | -0.0023 | 2 | 1 | 1 |
| 2009-07-08 | 2009-07-09 | 2009-07-10 | -0.0023 | 3 | 2 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | -1 | -0.2 | 6.9 | 7.2 | 8.3 | -3.4 | 2.8 | 21.8 |
| 2010 | -4.5 | -3 | -2.2 | 5 | 5.3 | 0.8 | -0.2 | -8.7 | -1.3 | 0 | -6.8 | -0.2 | -15.5 |
| 2011 | -4.8 | 4.8 | -1.3 | -0.9 | 6.7 | -4.5 | 1.5 | 3.2 | 7.3 | 8 | -0.1 | 1.1 | 22 |
| 2012 | -2.7 | -2.3 | -1.2 | -2.1 | 7.5 | -7.7 | 0.2 | -1.3 | -0.5 | -3.6 | 0.3 | -5.6 | -18.1 |
| 2013 | -3.1 | -1.1 | 1.1 | 2.7 | 4.2 | -2.7 | -3.5 | 1.1 | -2.3 | -1 | 0.3 | -1.4 | -5.9 |
| 2014 | 1.9 | -0.7 | -1.9 | 0.1 | -0.5 | -2 | 0.9 | -0.8 | 4 | -3.4 | 2 | 3.1 | 2.6 |
| 2015 | 3.9 | 1 | 1.1 | -3.2 | -0.6 | -2.4 | 0.4 | 9.2 | -0.8 | 1.4 | -2.9 | 3 | 9.9 |
| 2016 | -0.1 | -7.4 | -1.8 | 1.5 | -0.7 | -0.5 | 0.3 | 0.1 | -2.3 | 2 | 1.1 | 0.9 | -6.9 |
| 2017 | -0.3 | -4 | 0.7 | -0.6 | -2.3 | -0.5 | -0.6 | -0.5 | -1.1 | -0.4 | 0.6 | 1 | -7.9 |
| 2018 | 0.3 | 4 | -4.2 | -0.4 | -3.2 | -0.2 | 0.6 | 0 | -1.1 | -3 | -1.9 | -2.7 | -11.4 |
| 2019 | -0.2 | -1.9 | -3.4 | 2.2 | 3.9 | -2.5 | 2.6 | 0.3 | 3.7 | -2.7 | 1.2 | -0.8 | 2 |
| 2020 | 5.4 | 1.6 | 13.2 | 7.9 | -1.5 | -2 | -2.4 | -2.8 | -1.7 | 3 | -3.2 | -1.3 | 15.9 |
| 2021 | -4.8 | -7.3 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -11.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-06-25 29316 SPY 92.1 0.0218 -0.0015 0.0269 0.108 -0.301 -0.26 -0.195 GLD 92.3 0.0094 0.0076
2 2009-06-26 29532 SPY 91.8 -0.0026 -0.0022 0.0101 0.125 -0.284 -0.265 -0.193 GLD 92.3 -0.0002 0.0042
3 2009-06-29 28652 SPY 92.7 0.0094 0.0383 0.0018 0.176 -0.273 -0.252 -0.183 GLD 92.0 -0.0027 0.0166
4 2009-06-30 29352 SPY 92.0 -0.0081 0.0291 -0.0298 0.156 -0.282 -0.263 -0.193 GLD 91.2 -0.00930 0.00290
5 2009-07-01 29044 SPY 92.3 0.0041 0.0245 -0.0266 0.139 -0.281 -0.274 -0.194 GLD 92.4 0.0133 0.0103
6 2009-07-02 31360 SPY 89.8 -0.0273 -0.0247 -0.041 0.0765 -0.288 -0.294 -0.205 GLD 91.2 -0.0123 -0.0115
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
